Results for Unit Root
A Century of PPP: Supportive Results from non-linear Unit Root Tests
... However, these relatively few recent studies focus on shorter sample periods, such as the post-floating period. A direct application of nonlinear unit root tests to longer data sets over a century is ...
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Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries
... test results, we apply two complementary ...for unit roots and cointegration and, depending on the outcomes, testing for causality is undertaken within VAR models of different ...the unit-root ...
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Pharmaceutical Price Convergence In The EU : Preliminary Results From The Panel Data Unit Root Test
... ABSTRACT This paper explores the case of market integration and price convergence in the European Union, specifically in the pharmaceutical industry. The EU has been experiencing market integration since 1992, through ...
12
Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests
... The results in Table 2 indicate that, firstly, µ * was not statistically significant in any of the ...ADF results in Table 1 which show acceptance of the unit root ...
8
Unit Root Tests: Results from some recent tests applied to select Indian macroeconomic variables
... such results? Campbell and Perron (1991) argue that tests on data spanning a larger time period have more ...but results here are a strong indication that looking at high frequency data to check for ...
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CIPS test for Unit Root in Panel Data: further Monte Carlo results
... Experimental results have shown how the version of the test based on selecting the autoregressive order according to a deterministic function of T (as that of Zivot and Andrews) seems to be the most suitable if ...
13
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
... We only report results for cases 2 and 3, since case 1 is of hardly any empirical relevance for economic time series. The computations have been performed in GAUSS. 13 The number of replications is 10,000 for each ...
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Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
... the results in this paper are largely of theoretical interest and have limited practical relevance to the modeling of actual time series data for the same reason that explosive AR(1) models are rarely applied to ...
13
Unit root testing
... considered unit root testing in the presence of more gen- eral deterministic smooth transition functions, see also Lin and Ter¨asvirta (1994), however without providing asymptotic ...Limiting results ...
16
Unit Root Tests with Wavelets
... In Tables 2 and 3, we examine the size and power properties of the wavelet tests for S b T,1 LM and S b T,1 Ld with serially correlated errors. The error process is a stationary AR(1) with a parameter (γ) in the range of ...
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Bootstrap Unit Root Tests
... Through simulations, we investigate how effective the bootstrap correction is in small samples. We consider both Gaussian and non-Gaussian unit root models. For the non- Gaussian models, we investigate ...
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Unit Root CADF Testing with R
... or using the update() command. 4. p values computation and the function CADFpvalues() The possibility of computing the p values of a test greatly increases the chances that the test is effectively used by practitioners. ...
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Seasonal Unit Root Tests: A Comparison
... seasonal unit root tests, the DHF and HEGY overall F tests, were compared through asymptotic distributions of the corresponding test statistics and the empirical powers under four different ...comparison ...
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A nonlinear alternative to the unit root hypothesis
... the unit root hypothesis against a smooth transition autoregressive model as the ...limit results are presented, extending earlier work, and two F type tests are ...linear unit root is ...
25
Unit Root Tests with Markov-Switching
... How much this assumption affects the results is a question mark. Hence, one may wish to use the asymptotic distribution of the model parameters instead (Cavaliere, 2003). Before completing the paper, notice figure ...
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On Unit Root Tests and the Initial Observation
... simulation results obtained in the previous section, and clearly highlight the benefits of employing the new ...a unit root, with decent power obtained regardless of the magnitude of the initial ...
19
Unit Root Testing with Unstable Volatility
... the results in Tables 2-4 indicate that the rescaled unit root test we have proposed in this paper tends to perform well under much broader ...
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A new approach to unit root testing
... the results, it turns out that the simulation based testing approach on average offers most precise size estimates compared with ADF- and M- type ...the unit root null hypothesis whereas the ...
27
Optimal jackknife for unit root models
... First, we simulate data from Model (2.1) and evaluate the performance of alternative jackknife methods by applying them to five different sample sizes, i.e. n = 12, 24, 48, 96, 108. It is reasonable to consider the small ...
13
Bootstrapping Unit Root Tests with Covariates
... test results of the remaining 5 series for which the null hypothesis can be consistently accepted or ...whose results are undetermined, we apply the covariate tests using as covariates the series ...
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